Performance
 Annualized Return

4.01%
 Sharpe Ratio

0.28
 Maximum Drawdown

80.11%
Metrics
Metric  Fresenius Medical Care AG & Co. KGaA 

Initial Balance  $10,000 
Final Balance  $26,230 
Returns [View more details]  
MonthToDate  14.85% 
YearToDate  14.85% 
3M  33.7% 
6M  2.9% 
Annualized Return (3Y)  18.81% 
Annualized Return (5Y)  15.65% 
Annualized Return (All)  4.01% 
Risk [View more details]  
Annual Volatility  30.62% 
Max Drawdown  80.11% 
Sharpe Ratio  0.28 
Sortino Ratio  0.41 
Adjusted Sortino (S/√2)  0.29 
 Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on July 1998.
 Final balance: The amount of capital we've accrued over time as of January 2023.
 Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 25 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
 Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately 5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
 Best year: The best performance attained over its lifetime in a given year.
 Worst year: The worst performance undergone over its lifetime in a given year.
 Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
 Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a riskfree asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
 Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
 Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
 Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
 Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.
Annualized Returns
Annual Return 1y  Annual Return 3y  Annual Return 5y  Annual Return 10y  Annual Return 20y  Annual Return  

Fresenius Medical Care AG & Co. KGaA  40.54%  18.81%  15.65%  2.04%  6.36%  4.01% 
Annual Returns
Year  Fresenius Medical Care AG & Co. KGaA 

1998  3.06% 
1999  38.24% 
2000  5.13% 
2001  19.35% 
2002  42.44% 
2003  46.17% 
2004  6.78% 
2005  52.95% 
2006  15.09% 
2007  10.38% 
2008  7.79% 
2009  13.13% 
2010  18.91% 
2011  23.03% 
2012  0.95% 
2013  0.31% 
2014  21.5% 
2015  26.92% 
2016  4.62% 
2017  10.35% 
2018  34.69% 
2019  20.39% 
2020  6.88% 
2021  14.52% 
2022  45.19% 
2023  14.85% 
Fresenius Medical Care AG & Co. KGaA had 20 positive years and 6 negative years. That's a positive ratio of 77%.
Monthly Returns
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

1998  0%  0%  0%  0%  0%  0%  5.2%  19.8%  1%  13.5%  38.1%  12.4%  10.8% 
1999  11.3%  0%  5.2%  10.5%  6.3%  5.9%  28%  8.8%  9.3%  4.4%  24.3%  1.8%  40.5% 
2000  3.5%  8.9%  6.3%  6.2%  9.4%  7%  22%  4.5%  5%  7.7%  2.2%  9.8%  15.1% 
2001  2.2%  4.9%  14.8%  9.9%  2.7%  4.3%  7.1%  2.3%  5%  17.5%  9.2%  7.6%  15.3% 
2002  5.9%  8%  16.1%  5.7%  14.9%  18.4%  23.5%  16.4%  25%  47.4%  43.8%  14%  31.9% 
2003  7.9%  7.9%  18.3%  3%  6.4%  4.9%  6.9%  0.2%  7.6%  0.5%  7.6%  6.5%  43.8% 
2004  6%  1.8%  0.5%  8.3%  6.7%  0%  1%  0.8%  2.9%  2.7%  2.2%  0.9%  8.3% 
2005  5%  8.8%  7.7%  0.4%  4.4%  10.7%  1.9%  2%  3.1%  0.9%  7.4%  10.4%  44% 
2006  1.4%  2.9%  9.3%  3.5%  6.9%  2.8%  4.4%  9.8%  0.5%  2.1%  3.1%  0.4%  16.1% 
2007  1.5%  4.4%  1.8%  1.4%  0%  6.1%  1.2%  4.4%  3.4%  2.2%  4.8%  4%  12.2% 
2008  6.1%  0.6%  8.1%  7%  6.7%  2.3%  1.2%  3.3%  0.2%  3.8%  2.8%  2.8%  3% 
2009  5.1%  7.2%  9.9%  1.7%  1.6%  7.6%  1%  2.7%  8.6%  3.2%  7.5%  4.3%  15.4% 
2010  0.8%  4.7%  8.9%  2.5%  2.6%  7.8%  5%  6.1%  1.4%  1%  2.8%  2.8%  19% 
2011  1.1%  12.3%  1.2%  12%  3.9%  2.4%  3.6%  11.3%  7.7%  3.4%  3.7%  3.3%  23.2% 
2012  3.9%  3.6%  1.1%  0.9%  1.4%  4%  5.8%  2.9%  0.5%  5%  2.6%  0.9%  2.5% 
2013  0.7%  1.2%  0.2%  0.5%  1.4%  4.1%  12.7%  3.4%  2.2%  1.4%  5.5%  0.6%  2% 
2014  0.9%  4%  1.1%  2.2%  0.3%  1%  5.7%  3.4%  3%  5.8%  1.5%  4.1%  21.2% 
2015  6.1%  11.5%  5.9%  2.9%  4.4%  4.8%  0.4%  8.2%  2.4%  17.3%  4.5%  0.6%  27.4% 
2016  5.1%  4.8%  0.1%  2.7%  4.1%  0%  4.8%  3%  2%  4.6%  0.8%  9.3%  7.6% 
2017  6.4%  4.3%  0.6%  3%  5.7%  1.2%  5.2%  1.6%  5.4%  0.3%  0.5%  5.2%  11.3% 
2018  5.9%  6.3%  4.7%  1.6%  2.6%  1.1%  3.3%  4.5%  1.5%  21.7%  3.7%  21.2%  37.7% 
2019  13.6%  7%  4.4%  4.3%  10%  5.8%  8.9%  2.7%  0.8%  5.2%  2.6%  0.9%  21.5% 
2020  5.7%  0.5%  13.2%  19%  7.3%  0.9%  2.2%  3.2%  1.4%  8.9%  7.5%  3.3%  10.5% 
2021  2.1%  14.1%  9.3%  5.5%  0.8%  7.2%  5%  2.3%  6.4%  5.6%  8.1%  8.3%  12.9% 
2022  5.1%  4.6%  6%  2.2%  2.4%  15.9%  24.1%  5.4%  15.1%  3.6%  6%  3.1%  54.1% 
2023  14.9%  0%  0%  0%  0%  0%  0%  0%  0%  0%  0%  0%  14.3% 
Pos  52%  52.2%  66.7%  54.2%  62.5%  66.7%  56%  36%  64%  40%  64%  52%  76.9% 
Avg  1.3%  0.2%  1.4%  1.9%  0.2%  0.6%  0.1%  1.7%  0.4%  0.5%  5.7%  0.1%  8.1% 
Other Return Metrics
Metric  Fresenius Medical Care AG & Co. KGaA 

Cumulative Return  162.3% 
Enh Ann Return  7% 
Best Year  52.95% 
Worst Year  45.19% 
Best Month  47.39% 
Worst Month  24.96% 
Best Day  31.65% 
Worst Day  16.5% 
Win Ratio (Yearly)  76.92% 
Win Ratio (Quarterly)  56.57% 
Win Ratio (Monthly)  55.44% 
Win Ratio (Daily)  50.59% 
Annual Volatility
Annual Volatility 1y  Annual Volatility 3y  Annual Volatility 5y  Annual Volatility 10y  Annual Volatility 20y  Annual Volatility  

Fresenius Medical Care AG & Co. KGaA  34.01%  29.07%  28.55%  25.26%  24.13%  30.62% 
Sharpe Ratio
Sharpe Ratio 1y  Sharpe Ratio 3y  Sharpe Ratio 5y  Sharpe Ratio 10y  Sharpe Ratio 20y  Sharpe Ratio  

Fresenius Medical Care AG & Co. KGaA  1.33  0.56  0.45  0.05  0.37  0.28 
3Year Rolling Sharpe Ratio
The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the riskadjusted returns.
Drawdown Periods
Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.
Fresenius Medical Care AG & Co. KGaA
start  valley  end  Drawdown  days 

20000927  20020919  20060315  80.11%  1995 
20180201  20221028    68.08%  1824 
19980724  19981008  19981209  48.19%  138 
20080110  20090320  20100104  32.28%  725 
19981214  19990602  19990715  31.93%  213 
The Fresenius Medical Care AG & Co. KGaA took approximately 33 months on average to recover from a major drawdown. The longest drawdown lasted 67 months.
Underwater plot
The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.
Other Risk Metrics
Metric  Fresenius Medical Care AG & Co. KGaA 

Sharpe Ratio  0.28 
Sortino Ratio  0.41 
Adjusted Sortino (S/√2)  0.29 
Calmar Ratio  0.05 
Omega Ratio  0.05 
Gain to Pain Ratio  0.06 
Winckel Ratio  65.38 
Ulcer Index  0.25 
Kelly Criterion  2.65% 
Skew  0.63 
Kurtosis  19.58 